Millwall's hopes of recording a Capital One Cup Second Round upset at the expense of Premier League Southampton were dashed as second-half goals from Jack Cork and Graziano Pelle secured Saints' place in the Third Round draw.
The Lions, showing nine changes to the team beaten by Rotherham at the weekend, were given a standing ovation at the end after pushing Ronald Koeman's men all the way in an entertaining tie that saw Ian Holloway's side finish with five Academy graduates on the field.
As expected, boss Holloway made wholesale changes to his side featuring just two players - David Forde and Shaun Williams - who were in his starting XI against Rotherham at the weekend.
Millwall: Forde, Hoyte, Briggs, Williams, Webster; Powell, Abdou (Thompson, 76mins), Chaplow (O'Brien, 63mins); Gueye (Onyedinma, 63mins), Easter; Marquis. Subs not used: Gerrar, Siafa, Goodman, Gregory.
Skipper on the night Williams dropped back from midfield to partner Byron Webster in a new-look back four that included Justin Hoyte and Matthew Briggs. Jack Powell, making his first full start for The Lions, took his place in a diamond formation midfield, sitting just in front of the back-line with Jimmy Abdou to his left and Richard Chaplow the right. Jermaine Easter started just behind the front two pairing of John Marquis and Magaye Gueye.
Pitched against an expensively-assembled Saints side that included £12m club record signing Shane Long, the new-look Lions on paper at least, looked to have their work cut out against their Premier League opponents.
The relentless rain that swept across the stadium before kick-off could have dampened the mood, but Lions fans who braved the monsoon conditions were treated to a brave, enterprising display that although eventually finished in defeat, was a loss in which there was no shame and plenty of pluses.
Southampton settled into their stride in the opening exchanges with Pelle twice getting in good positions, first scooping wide from 16 yards and then directing a header from Nathaniel Clyne's inviting sixth-minute cross wide of the left hand post.
The visitors were handed a decent opportunity to test the home defence on 12 minutes when Webster was penalised for a foul on Long in a central position 18 yards out. However an eight-man Millwall wall did its job and James Prowse-Ward's thumping free-kick was blocked, then eventually cleared by the boot of Abdou.
Holloway's men created their first real scoring opportunity after 19 minutes when a sweeping crossfield pass from Easter picked out Marquis, who did well to control the ball before slamming it into Maya Yoshida to earn a corner. Powell's subsequent delivery found Webster who had escaped his marker, but the big defender's header flew wide.
The Lions were left ruing the best chance of the half just past the half-hour mark; a huge upfield punt by keeper Forde picked out Gueye superbly, but the frontman had more time than he realised, snatched at his shot and screwed his effort horribly wide of the target.
Both teams went close to breaking the deadlock within the first four minutes of the second period. Webster's slide-rule pass out of defence picked out Easter on the left, he drove forward and let fly with a fierce angled drive that flashed a yard wide.
At the other end two super tip-overs by Forde denied Dusan Tadic and then Pelle in quick succession as Saints responded with a brace of long-range efforts.
However there was little Forde could do to prevent the visitors taking the lead after 53 minutes when Tadic whipped in a corner from the left and fellow sub Cork stole in to despatch a looping header beyond the keeper's reach.
Easter forced a smart stop from Fraser Forster in the Southampton goal virtually straight from the kick-off, but it was the visitors who then enjoyed their best spell of possession. Koeman's side could easily have added further goals, only for Pelle's header to clip the outside of the post and then Ward-Prowse fire a whisker wide with a stinging 16-yard drive.
Lions boss Holloway responded by bringing on Fred Onyedinma and Aiden O'Brien for Gueye and Chaplow, but it was the visitors who went close again when Pelle's audacious backheel was cleared off the line by Abdou.
There was a big appeal for a Millwall penalty as the game entered the final quarter of an hour when Marquis was bundled over as he prepared to shoot, but referee Dean Whitehouse waved play on.
Midfielder Ben Thompson entered the fray for the home side for his first taste of senior football to make it five Academy graduates on the field for The Lions.
Urged on by The Den faithful, Holloway's men pushed and probed for the equaliser. Williams saw his thumping 25-yard piledriver punched clear by Fraser Forster as it arrowed towards the top left corner and a couple of inviting crosses from Hoyte and O'Brien were held by Forster.
Southampton put the game beyond Millwall's reach with a second goal deep into injury-time courtesy of Pelle's clinical low finish, but the hearty ovation the young Lions received as they left the field at the final whistle was testament to their hard-working, honest performance.
Booking: Briggs (36mins)
Southampton: Forster, Clyne, Yoshida, Fonte, Long (Ramirez, 90+1mins), Davis, Wanyama (Cork, 46mins), Ward-Proswe, Pelle, Isgrove (Tadic, 29mins), Targett. Subs not used: Davis, Gardos, Taider, Stephens.
Bookings: Pelle (84mins), Targett (88mins)
Scorers: Cork (53mins), Pelle (90+4mins)
Ref: D. Whitestone
Att: 6,014 (away 1,011)